While the outlook for developing markets was previously bright, Goldman's report, titled "Emerging Markets As the Tide Goes Out," states that is no longer the case.

"The returns were not as attractive as expected, the economic growth rates were not as sustainable as imagined, and the countries were not as stable as believed," the report notes.

Reasons for Goldman's heightened pessimism toward countries like China, Brazil and Russia include too much government intervention, too much dependence on commodities and bad demographic trends, CNBC reports.

The Goldman report predicts "the strong possibility of significant underperformance and heightened volatility over the next five to 10 years."

The iShares MSCI Emerging Markets Index, a proxy for emerging markets, is down approximately 8.4 percent in 2013, compared with gains of about 27.5 percent for the S&P 500 benchmark of U.S. stocks.

China has particular economic problems, according to Goldman, including "severely imbalanced growth, a weakening demographic profile, financial repression that has distorted allocation of capital, growing pollution that has endangered the health of its population and an antiquated household registration system known as 'hukou' that has hampered access to education and social services."

According to Pension & Investments, professional managers seem split on whether emerging markets make a sound investment currently.

"Just when pension funds across the globe were getting comfortable with the idea of investing in emerging markets, their faith is being tested by disappointing performance," the magazine reports.

Pensions & Investments blamed a combination of uncertainty over U.S. central bank tapering, a stronger American dollar and muted economic growth for tamping down emerging market returns in both stocks and bonds.

"The uncertainty is muddying the waters when it comes to decision making on keeping existing or putting new money into these investments."